Particle Markov chain Monte Carlo methods

C Andrieu, a Doucet, R Holenstein

Research output: Contribution to journalArticle (Academic Journal)peer-review

1246 Citations (Scopus)


Markov chain Monte Carlo and sequential Monte Carlo methods have emerged as the two main tools to sample from high dimensional probability distributions. Although asymptotic convergence of Markov chain Monte Carlo algorithms is ensured under weak assumptions, the performance of these algorithms is unreliable when the proposal distributions that are used to explore the space are poorly chosen and/or if highly correlated variables are updated independently. We show here how it is possible to build efficient high dimensional proposal distributions by using sequential Monte Carlo methods. This allows us not only to improve over standard Markov chain Monte Carlo schemes but also to make Bayesian inference feasible for a large class of statistical models where this was not previously so. We demonstrate these algorithms on a non-linear state space model and a Lévy-driven stochastic volatility model.
Translated title of the contributionParticle Markov chain Monte Carlo methods
Original languageEnglish
Pages (from-to)269 - 342
Number of pages74
JournalJournal of the Royal Statistical Society: Series B
Issue number3
Publication statusPublished - Jun 2010

Bibliographical note

Publisher: Wiley


Dive into the research topics of 'Particle Markov chain Monte Carlo methods'. Together they form a unique fingerprint.

Cite this